Background Elevated plasma levels of direct low‐density lipoprotein cholesterol (LDL‐C), small dense LDL‐C (sdLDL‐C), low‐density lipoprotein (LDL) triglycerides, triglycerides, triglyceride‐rich lipoprotein cholesterol, remnant lipoprotein particle cholesterol, and lipoprotein(a) have all been associated with incident atherosclerotic cardiovascular disease (ASCVD). Our goal was to assess which parameters were most strongly associated with ASCVD risk. Methods and Results Plasma total cholesterol, triglycerides, high‐density lipoprotein cholesterol, direct LDL‐C, sdLDL‐C, LDL triglycerides, remnant lipoprotein particle cholesterol, triglyceride‐rich lipoprotein cholesterol, and lipoprotein(a) were measured using standardized automated analysis (coefficients of variation, <5.0%) in samples from 3094 fasting subjects free of ASCVD. Of these subjects, 20.2% developed ASCVD over 16 years. On univariate analysis, all ASCVD risk factors were significantly associated with incident ASCVD, as well as the following specialized lipoprotein parameters: sdLDL‐C, LDL triglycerides, triglycerides, triglyceride‐rich lipoprotein cholesterol, remnant lipoprotein particle cholesterol, and direct LDL‐C. Only sdLDL‐C, direct LDL‐C, and lipoprotein(a) were significant on multivariate analysis and net reclassification after adjustment for standard risk factors (age, sex, hypertension, diabetes mellitus, smoking, total cholesterol, and high‐density lipoprotein cholesterol). Using the pooled cohort equation, many specialized lipoprotein parameters individually added significant information, but no parameter added significant information once sdLDL‐C (hazard ratio, 1.42; P <0.0001) was in the model. These results for sdLDL‐C were confirmed by adjusted discordance analysis versus calculated non–high‐density lipoprotein cholesterol, in contrast to LDL triglycerides. Conclusions sdLDL‐C, direct LDL‐C, and lipoprotein(a) all contributed significantly to ASCVD risk on multivariate analysis, but no parameter added significant risk information to the pooled cohort equation once sdLDL‐C was in the model. Our data indicate that small dense LDL is the most atherogenic lipoprotein parameter.